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subject:"Volatilität"
~isPartOf:"Applied economics letters"
~isPartOf:"Quantitative finance"
~source:"econis"
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Volatilität
Estimation
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142
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141
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140
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Applied economics letters
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Energy economics
142
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International review of economics & finance : IREF
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102
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96
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Journal of empirical finance
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Working paper / National Bureau of Economic Research, Inc.
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NBER working paper series
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International journal of forecasting
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The European journal of finance
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International journal of finance & economics : IJFE
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
39
Journal of financial economics
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International Journal of Energy Economics and Policy : IJEEP
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Pacific-Basin finance journal
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ECONIS (ZBW)
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
4
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
5
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
6
News implied volatility and aggregate economic activity : evidence from the Japanese government bond market
Goshima, Keiichi
;
Ishijima, Hiroshi
;
Shintani, Mototsugu
- In:
Applied economics letters
31
(
2024
)
6
,
pp. 568-573
Persistent link: https://www.econbiz.de/10014470544
Saved in:
7
Impacts of economic policy uncertainty on the time-varying risk-return relationship : evidence from G7 countries
He, Zhifang
;
Zheng, Jie
- In:
Applied economics letters
31
(
2024
)
4
,
pp. 270-274
Persistent link: https://www.econbiz.de/10014468759
Saved in:
8
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
9
Cryptocurrency connectedness : does controlling for the cross-correlations matter?
Wiesen, Thomas F.P.
;
Bharadwaj, Lakshya
- In:
Applied economics letters
30
(
2023
)
20
,
pp. 2873-2880
Persistent link: https://www.econbiz.de/10014413964
Saved in:
10
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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